Re: st: qreg (median regression)

[Yuval Arbel <yuval.arbel@gmail.com>]

You can try the following textbook:

William H. Greene: Econometric Analysis (Seventh Edition).

On page 242-246 Greene discusses the issue of median regression - and
provides a comparison between the OLS and LAD estimators taken from a
classical paper of Zelner and Revankar (1970).

On page 247-250 he discusses quantile regression model and provides
outcomes from his own research (Greene (1992, 2007))

On Sun, Apr 7, 2013 at 1:55 PM, John Antonakis <John.Antonakis@unil.ch> wrote:
> Hi:
>
> I have been playing around with Stata's qreg, and have been reading up on
> when qreg is useful. For the case of median regression, I can't  find much
> literature on it, particularly about the small sample properties of the
> estimator.  Does anyone know of any simulation studies that compares the
> efficiency of the median-regression (LAD) estimator to that of the OLS
> estimator in small samples (and ideally with data having outliers)?
>
> Thanks.
> J.
>
> --
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-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: yuval.arbel@carmel.ac.il
e-mail2: yuval.arbel@gmail.com
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